Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions

This work is concerned with numerical methods for controlled regime-switching diffusions, and regime-switching jump diffusions. Numerical procedures based on Markov chain approximation techniques are developed. Convergence of the algorithms is derived by means of weak convergence methods. In additio...

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Bibliographic Details
Published in:Automatica (Oxford) 2006-07, Vol.42 (7), p.1147-1157
Main Authors: Song, Q.S., Yin, G., Zhang, Z.
Format: Article
Language:English
Subjects:
Applied sciences
Computer science
control theory
systems
Control theory. Systems
Controlled regime-switching diffusion
Convergence
Exact sciences and technology
Markov chain approximation
Regime-switching jump diffusion
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Summary:This work is concerned with numerical methods for controlled regime-switching diffusions, and regime-switching jump diffusions. Numerical procedures based on Markov chain approximation techniques are developed. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purpose.
ISSN:0005-1098
1873-2836
DOI:10.1016/j.automatica.2006.03.016